ScholarWorks@숙명여자대학교

초록

The discussion of the relationship between macro-economic variables is very important research topic. the most economic variables discussed in connection with the liberalization of capital is the exchange rate and stock prices and these two variables have a relationship of mutual influence are identified. However, the results on the time frequency and the time span of a variable appear differently. Therefore, the purpose of this research describes a cause that the result of prior research varied and presents more reliable research methodology. In this research, when the time frequency and span varied, the VAR analysis of the exchange rate and stock prices appeared differently. So, we use the Monte Carlo simulation method in order to performing our purpose. Our research supports the existing research said the ratio that each coefficient VAR model contained 95% confidence interval of estimated coefficient in Monte Carlo simulation is higher when it is applied more the long term and frequent observation.

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